We present covariance identities and inequalities for functionals of the Wiener and the Poisson processes. Using Malliavin calculus techniques, an expansion with a remainder term is obtained for the covariance of such functionals. Our results extend known identities and inequalities for functions of multivariate random vectors.
Publié le : 1995-01-14
Classification:
Variance inequality,
Malliavin derivative,
Clark-Ocone formula,
Wiener functional,
Poisson functional,
60E15
@article{1176988392,
author = {Houdre, Christian and Perez-Abreu, Victor},
title = {Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces},
journal = {Ann. Probab.},
volume = {23},
number = {3},
year = {1995},
pages = { 400-419},
language = {en},
url = {http://dml.mathdoc.fr/item/1176988392}
}
Houdre, Christian; Perez-Abreu, Victor. Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces. Ann. Probab., Tome 23 (1995) no. 3, pp. 400-419. http://gdmltest.u-ga.fr/item/1176988392/